+5 PD estimation
---+5.1 General requirements specific to PD estimation
------+53. For the purpose of assigning obligors to an obligor grade as part of the credit approval …
------+54. For the purpose of assigning retail exposures to a grade or pool as part of the credit approval …
------+55. A PD model can contain several different methods for ranking the obligors or exposures as well …
---+5.2 Model development in PD estimation
------+56. For the purpose of model development, institutions should ensure that the RDS contains the …
------+57. In the process of selecting risk drivers and rating criteria, institutions should consider a …
------+58. Institutions should ensure that for the purpose of selecting risk drivers and rating criteria …
------+59. Institutions should ensure that the decrease of reliability of information over time, for …
------+60. Institutions should use the risk drivers and rating criteria consistently, in particular with …
------+61. Where there is a significant proportion of customers using multiple facilities of the same type …
------+62. Institutions should have clear policies specifying the conditions under which the rating of a …
------+63. In order for an internal or external ratings of a third party to be incorporated into a PD …
------+64. A rating transfer should not change the assignment of exposures to exposure classes, rating …
------+65. The material contractual support granted by an obligor to a third party should be seen as …
------+66. Institutions should choose an appropriate philosophy underlying the assignment of obligors or …
------+67. Institutions should apply the chosen rating philosophy consistently over time. Institutions …
------+68. Where institutions use different rating systems characterised by different rating philosophies …
------+69. In order to comply with the requirements of Article 170(1) and 170(3)(c) of Regulation (EU) No …
---+5.3 PD calibration
------+70. For the purpose of calculating the one-year default rate defined in point (78) of Article 4(1) …
------+71. Exclusion of observations from the one-year default rate calculation should be undertaken only …
------+72. Institutions should document all data cleansing in accordance with Article 32(3)(b) of the RTS …
------+73. For the purpose of calculating the one-year default rate referred to in point (78) of Article …
------+74. When assigning the obligors or exposures to grades or pools for the purpose of the one-year …
------+75. Institutions should calculate the one-year default rate also for the subset of obligors with …
------+76. For the purposes of paragraphs 73 to 75 an obligor has to be included in the denominator and …
------+77. In any case institutions should ensure that each defaulted obligor is counted only once in the …
------+78. In order to choose an appropriate calculation approach as required by paragraph 80 …
------+79. The observed average of one-year default rates (‘observed average default rate’) should be …
------+80. Institutions should choose an appropriate approach between an approach based on overlapping and …
------+81. For the purposes of paragraphs 79 and 80 institutions should calculate the observed average …
------+82. For the purpose of determining the historical observation period referred to in Articles …
------+83. For the purpose of assessing the representativeness of the historical observation period …
------+84. Where the historical observation period referred to in paragraph 82 is representative of the …
------+85. Where the historical observation period referred to in paragraph 82 is not representative of …
------+86. In the exceptional case where the long-run average default rate is below the average of all …
------+87. Institutions should have sound and well-defined processes in place which ensure sound …
------+88. Institutions should store and describe in the documentation of the PD model the calibration …
------+89. Institutions should conduct the calibration after taking into account any overrides applied in …
------+90. The process of grouping ranked obligors or exposures to grades or pools, in particular where …
------+91. Taking into account the availability of data, the structure of the model and portfolio as well …
------+92. For the purpose of determining the PD estimates referred to in paragraph 91, the calibration …
------+93. Irrespective of which of the approaches mentioned in paragraph 92 institutions choose, they …
------+94. For the purpose of determining PD estimates based on a mapping to an external rating scale as …
------+95. Where institutions derive PD estimates from the estimates of losses and LGDs in accordance with …
------+96. In order to use direct PD estimates for the calculation of own funds requirements in accordance …
------+97. Institutions may split exposures covered by the same PD model into as many different …
------+98. Where scoring methods are used, institutions should ensure that: (a) where there is a change in …
------+99. The calibration should not influence the rank ordering of obligors or exposures within a …
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5 PD estimation
5 PD estimation
1. Forbhreathnú
1.1 Tagairtí
1.2 Ceanglais aitheanta
1.3 Caighdeáin ghaolmhara
2. Ceanglais aitheanta
Ceanglais
| Foinse |
Ceanglas |
3. Caighdeáin ghaolmhara
Caighdeáin
| Foinse |
Ceanglas |
- EBA - Published by the European Banking Authority at https://www.eba.europa.eu/
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